Some advances on anchored ANOVA expansion for high order moments computation
Abstract
Covariance decomposition of output variance is used in this paper to take account of interactions between non-orthogonal components in anchored ANOVA method. Results show this approach is less sensitive to the anchor reference point than existing method. Covariance-based sensitivity indices (SI) are also used, compared to variance-based SI. Furthermore, we emphasize covariance decomposition can be generalized in a straightforward way to decompose high order moments.
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